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Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
nonlinear PDEs illiquid markets option pricing invariant reductions
2010/10/21
We study the general model of self-financing trading strategies in illiquid markets introduced by Schoenbucher and Wilmott, 2000. A hedging strategy in the framework of this model satisfies a nonlinea...
These notes discuss several topics in neoclassical economics and alternatives, with an aim of reviewing fundamental issues in modeling economic markets. I start with a brief, non-rigorous summary of t...